Faculty of Business and Economics

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Monash University

Monash University Handbook 2010 Postgraduate - Unit

6 points, SCA Band 3, 0.125 EFTSL

FacultyFaculty of Business and Economics
OfferedCaulfield Second semester 2010 (Evening)


Statistics and econometric tools to assess the time series properties and distributional properties of financial series, and teaches how to model and estimate risk-return relationship of assets; estimate and test capital asset pricing models and anomalies; and use various statistical procedures to test market hypothesis. It also introduces recent literature on modelling, estimating and forecasting financial markets' volatility. Parametric, nonparametric and simulation methods will be used to estimate the value at risk. EViews computer software will be used to carry out financial data analysis and applied research projects. No prerequisites for enrolments in course codes 3814, 3815 or 3816.


The learning goals associated with this unit are to:

  • assess the time series and distributional properties of financial data
  • evaluate the risk return relationship of financial assets
  • estimate the long run relationship among financial time series
  • analyse and model the volatility of financial returns
  • conduct the risk management analysis.


Within semester assessment: 60%
Examination (2 hours): 40%

Chief examiner(s)

Roland Shami

Contact hours

One 2-hour lecture and one 1-hour laboratory/tutorial per week


Students must be enrolled in course codes 3814, 3815, 3816 or 3822 or must have passed AFF9641 or AFF9250


ETC3460, ETC4346, ETF3300